Where are you plugging them into? If into the sound card, that is normal
operation. You then simply turn the volume down on your speakers(assuming
you have a volume contol on the speakers themselves, almost all now-a-days
do). This way you can leave the headphones plugged in all the time and don't
need to unhook them to hear the real speakers again. If you plugging them
into the speakers themselves and sound still comes out of the speakers, then
something is wrong with the speakers and/or headphone jack.